The "click here" and "select this" prompts during
demonstration always one step ahead of the screens they belong
on... so if I move from a web page to another web page in my
demo... it might say "select this button" - but the page with the
button isn't even showing yet.

How can I get the "select this" and "click this" prompts to
synchronize with the screens being shown?

The best way is liberal use of the Print Screen key when
recording, and paying close attention to when things change. If you
are recording a web based app, you click a link, the page sends a
command to the server, the server fetches the page and sends it to
your PC. The thing is, while that may SEEM to happen pretty
quickly, Captivate grabbed the screen oftentimes before it was
fully populated with what the server sent. So you perceive a
mismatch.